Selected Recent Applications of Sparse Grids

DOI10.4208/NMTMA.2015.W05SIMaRDI QIDQ3462936zbMATH OpenOpenAlexFDO

Authors Benjamin Peherstorfer, Christoph Kowitz, Dirk Pflüger, Hans-Joachim Bungartz

Publication date 15 January 2016

Published in Numerical Mathematics: Theory, Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/nmtma.2015.w05si

zbMATH Keywords

Black-Scholes modelcombination techniquefinancial product pricinghierarchical decompositioninterpolationnumerical quadratureplasma turbulence simulationssparse gridsuncertainty quantification

Mathematics Subject Classification ID

Numerical interpolation (65D05) Numerical quadrature and cubature formulas (65D32) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50) Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs (65N50) Turbulence (76F99) Ionized gas flow in electromagnetic fields; plasmic flow (76X05) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(13)

• Optimization of black-box problems using Smolyak grids and polynomial approximations
• On the dispersion of sparse grids
• Sparse grids and applications -- Miami 2016. Proceeding of the 4th workshop, SGA, Miami, FL, USA, October 4--7, 2016
• Fast sparse grid operations using the unidirectional principle: a generalized and unified framework
• Hierarchical extended B-splines for approximations on sparse grids
• Sparse grids and applications -- Munich 2012. Proceedings of the 2nd workshop, SGA 2012, Munich, Germany, July 2--6, 2012
• Sparse grids and applications -- Munich 2018. Selected papers based on the presentations at the fifth workshop, SGA2018, Munich, Germany, July 23--27, 2018
• From data to uncertainty: an efficient integrated data-driven sparse grid approach to propagate uncertainty
• A Multigrid Method for Adaptive Sparse Grids
• A sparse grid approach to balance sheet risk measurement
• Sparse grids
• Sampling inequalities for sparse grids
• Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation

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